Testing single-index restrictions with a focus on average derivatives
From MaRDI portal
Publication:530960
DOI10.1016/j.jeconom.2009.11.007zbMath1431.62610OpenAlexW2005725392MaRDI QIDQ530960
Juan Carlos Escanciano, Kyungchul Song
Publication date: 1 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.11.007
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)
Related Items (6)
An updated review of goodness-of-fit tests for regression models ⋮ A post-screening diagnostic study for ultrahigh dimensional data ⋮ Projection-averaging-based cumulative covariance and its use in goodness-of-fit testing for single-index models ⋮ Beran-based approach for single-index models under censoring ⋮ Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing ⋮ Nonparametric estimation of single-index models in scale-space
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
- Diagnostic testing and evaluation of maximum likelihood models
- Nonparametric estimation of regression functions with both categorical and continuous data
- A consistent model specification test with mixed discrete and continuous data
- Testing conditional independence via Rosenblatt transforms
- Generalized method of moments specification testing
- Maximum score estimation of the stochastic utility model of choice
- Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
- Rates of convergence and law of the iterated logarithm for \(U\)-processes
- Convergence rates and asymptotic normality for series estimators
- Efficient estimation in conditional single-index regression
- Nonparametric estimation of distributions with categorical and continuous data
- Regression analysis under link violation
- Global power functions of goodness of fit tests.
- Direct estimation of the index coefficient in a single-index model
- Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
- Weak convergence and empirical processes. With applications to statistics
- Optimal smoothing in single-index models
- Tailor-made tests for goodness of fit to semiparametric hypotheses
- Nonparametric checks for single-index models
- Efficiency of Weighted Average Derivative Estimators and Index Models
- CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
- ASYMPTOTIC DISTRIBUTIONS FOR TWO ESTIMATORS OF THE SINGLE-INDEX MODEL
- Simulation and the Asymptotics of Optimization Estimators
- Investigating Smooth Multiple Regression by the Method of Average Derivatives
- UNIFORM CONVERGENCE OF SERIES ESTIMATORS OVER FUNCTION SPACES
- ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
- Consistent Estimation of Scaled Coefficients
- A Consistent Conditional Moment Test of Functional Form
- Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates
- Tests of Additive Derivative Constraints
- Semiparametric Estimation of Index Coefficients
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- An Efficient Semiparametric Estimator for Binary Response Models
- The Limiting Distribution of the Maximum Rank Correlation Estimator
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
- Maximum Likelihood Estimation of Misspecified Models
- Goodness-of-fit tests for kernel regression with an application to option implied volatilities
This page was built for publication: Testing single-index restrictions with a focus on average derivatives
